high liquidity set
date code
2010-01-31 000001.XSHE 1
000002.XSHE 1
000004.XSHE 0
000005.XSHE 1
000006.XSHE 1
Name: amount3M, dtype: int32
start_date:2010-01-01 / end_date:2022-12-31
| skew | adjskew | distance | mom6x3 | mom9x3 | mom12x3 | mom1M | mom2M | mom3M | mom6M | turnover3M | amount3M | stddev_diff | stddev | ep | circulating_market_cap | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ic.mean | -0.0228 | -0.0252 | 0.0015 | 0.0009 | 0.0069 | 0.0090 | -0.0419 | -0.0505 | -0.0445 | -0.0330 | -0.0422 | -0.0393 | -0.0078 | -0.0385 | 0.0110 | -0.0123 |
| ic.t-stats | -4.7346 | -5.4992 | 0.1356 | 0.1148 | 0.7518 | 0.9592 | -4.5227 | -4.7153 | -4.2887 | -3.0849 | -3.8007 | -4.5036 | -1.4424 | -3.0906 | 1.5631 | -1.3657 |
| AnnRet_Long | -0.0631 | -0.0609 | 0.0273 | -0.0237 | -0.0058 | 0.0096 | -0.1463 | -0.1504 | -0.1493 | -0.1172 | -0.1189 | -0.1245 | -0.0772 | -0.1316 | -0.0026 | -0.0712 |
| AnnRet_short | 0.0178 | 0.0397 | 0.0226 | -0.0197 | -0.0604 | -0.0506 | 0.0257 | 0.0839 | 0.0669 | 0.0645 | 0.0795 | 0.1421 | -0.0520 | 0.0493 | 0.0037 | 0.1681 |
| AnnRet | -0.0809 | -0.1006 | 0.0047 | -0.0040 | 0.0546 | 0.0601 | -0.1719 | -0.2343 | -0.2163 | -0.1817 | -0.1984 | -0.2666 | -0.0252 | -0.1809 | -0.0063 | -0.2393 |
| SR_Long | -1.2742 | -1.3446 | 0.2515 | -0.2369 | -0.0554 | 0.0888 | -1.3972 | -1.2327 | -1.1876 | -0.9617 | -1.0610 | -1.0314 | -1.0832 | -1.1026 | -0.0193 | -0.4851 |
| SR_Short | 0.3605 | 0.8369 | 0.1808 | -0.2561 | -0.7717 | -0.6149 | 0.2894 | 0.7633 | 0.6396 | 0.5825 | 0.5317 | 1.0871 | -0.8670 | 0.3160 | 0.0492 | 1.5498 |
| SR | -0.9711 | -1.2559 | 0.0219 | -0.0262 | 0.3344 | 0.3499 | -1.0203 | -1.1427 | -1.0630 | -0.8597 | -0.8414 | -1.2636 | -0.2412 | -0.7520 | -0.0427 | -1.0186 |
| TO_Long | 0.8872 | 0.8867 | 0.2880 | 0.5175 | 0.3709 | 0.3140 | 0.8619 | 0.6243 | 0.5150 | 0.3687 | 0.2387 | 0.1687 | 0.9489 | 0.6880 | 0.1019 | 0.0497 |
| TO_Short | 0.8816 | 0.8821 | 0.4891 | 0.5944 | 0.4543 | 0.3767 | 0.8966 | 0.7022 | 0.5939 | 0.4534 | 0.1791 | 0.2441 | 0.9482 | 0.4880 | 0.0876 | 0.1134 |
start_date:2010-01-01 / end_date:2022-12-31
| skew_GN | adjskew_GN | distance_GN | mom6x3_GN | mom9x3_GN | mom12x3_GN | mom1M_GN | mom2M_GN | mom3M_GN | mom6M_GN | turnover3M_GN | amount3M_GN | stddev_diff_GN | stddev_GN | ep_GN | circulating_market_cap_GN | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ic.mean | -0.0228 | -0.0254 | 0.0086 | -0.0012 | 0.0013 | 0.0013 | -0.0495 | -0.0548 | -0.0498 | -0.0382 | -0.0438 | -0.0395 | -0.0092 | -0.0398 | 0.0045 | -0.0118 |
| ic.t-stats | -5.4243 | -6.3460 | 0.8524 | -0.1965 | 0.1875 | 0.1788 | -6.3354 | -6.0394 | -5.5337 | -4.2330 | -4.7388 | -5.2646 | -2.0405 | -3.5914 | 0.7979 | -1.5362 |
| AnnRet_Long | -0.0647 | -0.0673 | 0.0571 | -0.0233 | -0.0089 | -0.0002 | -0.1539 | -0.1502 | -0.1499 | -0.1175 | -0.1200 | -0.1303 | -0.0729 | -0.1313 | 0.0103 | -0.0666 |
| AnnRet_short | 0.0181 | 0.0410 | 0.0080 | 0.0041 | -0.0081 | -0.0065 | 0.0611 | 0.1182 | 0.1074 | 0.1008 | 0.0973 | 0.0973 | -0.0389 | 0.0709 | 0.0267 | 0.0346 |
| AnnRet | -0.0827 | -0.1083 | 0.0491 | -0.0274 | -0.0009 | 0.0063 | -0.2150 | -0.2684 | -0.2573 | -0.2183 | -0.2173 | -0.2276 | -0.0340 | -0.2022 | -0.0164 | -0.1012 |
| SR_Long | -1.4674 | -1.6229 | 0.6193 | -0.2641 | -0.0990 | -0.0018 | -1.6490 | -1.3657 | -1.3224 | -1.0725 | -1.1764 | -1.1445 | -1.1357 | -1.2953 | 0.0918 | -0.4803 |
| SR_Short | 0.4147 | 0.8932 | 0.0714 | 0.0665 | -0.1451 | -0.1159 | 0.8212 | 1.2874 | 1.2118 | 1.0994 | 0.8490 | 1.2823 | -0.7640 | 0.5028 | 0.3952 | 0.6428 |
| SR | -1.1762 | -1.5221 | 0.2650 | -0.2354 | -0.0073 | 0.0498 | -1.5500 | -1.5935 | -1.4782 | -1.2240 | -1.1708 | -1.4859 | -0.3741 | -0.9466 | -0.1360 | -0.6679 |
| TO_Long | 0.8847 | 0.8859 | 0.3012 | 0.5199 | 0.3739 | 0.3149 | 0.8625 | 0.6252 | 0.5179 | 0.3725 | 0.2422 | 0.1747 | 0.9492 | 0.6940 | 0.1240 | 0.0515 |
| TO_Short | 0.8796 | 0.8826 | 0.4622 | 0.5856 | 0.4474 | 0.3746 | 0.8895 | 0.6955 | 0.5854 | 0.4462 | 0.2282 | 0.2115 | 0.9467 | 0.5428 | 0.0956 | 0.0727 |
start_date:2016-01-01 / end_date:2022-12-31
| skew_GN | adjskew_GN | distance_GN | mom6x3_GN | mom9x3_GN | mom12x3_GN | mom1M_GN | mom2M_GN | mom3M_GN | mom6M_GN | turnover3M_GN | amount3M_GN | stddev_diff_GN | stddev_GN | ep_GN | circulating_market_cap_GN | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ic.mean | -0.0212 | -0.0216 | 0.0035 | -0.0011 | 0.0005 | 0.0036 | -0.0429 | -0.0442 | -0.0374 | -0.0290 | -0.0508 | -0.0253 | -0.0109 | -0.0364 | 0.0071 | 0.0050 |
| ic.t-stats | -3.7721 | -4.0036 | 0.2691 | -0.1287 | 0.0475 | 0.3446 | -4.0492 | -3.5464 | -3.1647 | -2.3914 | -4.3503 | -2.5555 | -1.7325 | -2.7111 | 0.8792 | 0.4859 |
| AnnRet_Long | -0.0463 | -0.0406 | 0.0281 | -0.0136 | 0.0060 | 0.0225 | -0.1349 | -0.1365 | -0.1233 | -0.0821 | -0.1553 | -0.0855 | -0.0886 | -0.1678 | 0.0380 | 0.0085 |
| AnnRet_short | 0.0318 | 0.0540 | 0.0023 | -0.0110 | -0.0133 | -0.0169 | 0.0156 | 0.0526 | 0.0333 | 0.0291 | 0.0190 | 0.0264 | -0.0313 | -0.0126 | 0.0233 | 0.0198 |
| AnnRet | -0.0781 | -0.0946 | 0.0259 | -0.0027 | 0.0193 | 0.0394 | -0.1505 | -0.1890 | -0.1566 | -0.1112 | -0.1742 | -0.1119 | -0.0574 | -0.1552 | 0.0147 | -0.0113 |
| SR_Long | -1.1720 | -1.1788 | 0.3320 | -0.1675 | 0.0659 | 0.2337 | -1.4709 | -1.2211 | -1.1464 | -0.7591 | -1.5367 | -0.8442 | -1.3585 | -1.6323 | 0.3985 | 0.0720 |
| SR_Short | 0.8309 | 1.3360 | 0.0254 | -0.1840 | -0.2215 | -0.2762 | 0.2294 | 0.7113 | 0.4641 | 0.3920 | 0.3044 | 0.5112 | -0.6005 | -0.1383 | 0.3493 | 0.3862 |
| SR | -1.3122 | -1.4907 | 0.1577 | -0.0245 | 0.1580 | 0.3002 | -1.1504 | -1.1922 | -1.0360 | -0.7054 | -1.1889 | -0.9266 | -0.6629 | -0.9004 | 0.1341 | -0.0854 |
| TO_Long | 0.8865 | 0.8893 | 0.2688 | 0.5177 | 0.3715 | 0.3115 | 0.8610 | 0.6180 | 0.5118 | 0.3660 | 0.2425 | 0.1745 | 0.9536 | 0.6885 | 0.1189 | 0.0505 |
| TO_Short | 0.8851 | 0.8902 | 0.4408 | 0.5746 | 0.4374 | 0.3668 | 0.8857 | 0.6883 | 0.5745 | 0.4324 | 0.2328 | 0.2085 | 0.9555 | 0.5556 | 0.0919 | 0.0812 |
start_date:2010-01-01 / end_date:2022-12-31
| skew_GN | adjskew_GN | distance_GN | mom6x3_GN | mom9x3_GN | mom12x3_GN | mom1M_GN | mom2M_GN | mom3M_GN | mom6M_GN | turnover3M_GN | amount3M_GN | stddev_diff_GN | stddev_GN | ep_GN | circulating_market_cap_GN | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ic.mean | -0.0204 | -0.0137 | -0.0039 | 0.0173 | 0.0207 | 0.0230 | -0.0471 | -0.0486 | -0.0395 | -0.0173 | -0.0490 | -0.0210 | 0.0041 | -0.0301 | 0.0340 | 0.0154 |
| ic.t-stats | -4.1446 | -2.8235 | -0.3410 | 2.0095 | 2.1907 | 2.3551 | -5.0088 | -4.6888 | -3.9642 | -1.6545 | -4.0443 | -2.7782 | 0.6717 | -2.5441 | 3.5670 | 1.3446 |
| AnnRet_Long | -0.0642 | -0.0375 | 0.0033 | 0.0294 | 0.0444 | 0.0434 | -0.1322 | -0.1203 | -0.1065 | -0.0714 | -0.1418 | -0.0493 | -0.0438 | -0.1241 | 0.0509 | 0.0335 |
| AnnRet_short | 0.0336 | 0.0315 | 0.0008 | -0.0482 | -0.0740 | -0.0639 | 0.0471 | 0.0903 | 0.0703 | 0.0060 | 0.0654 | 0.0221 | -0.0644 | 0.0150 | -0.0950 | -0.0375 |
| AnnRet | -0.0978 | -0.0690 | 0.0025 | 0.0775 | 0.1184 | 0.1073 | -0.1793 | -0.2106 | -0.1768 | -0.0774 | -0.2072 | -0.0714 | 0.0206 | -0.1392 | 0.1459 | 0.0710 |
| SR_Long | -1.0015 | -0.7554 | 0.0279 | 0.2682 | 0.3843 | 0.3710 | -1.1896 | -1.0204 | -0.9405 | -0.5758 | -1.0922 | -0.4345 | -0.5759 | -1.0548 | 0.3434 | 0.2082 |
| SR_Short | 0.5624 | 0.5682 | 0.0074 | -0.6271 | -0.8787 | -0.8289 | 0.5146 | 0.9460 | 0.6993 | 0.0655 | 0.6751 | 0.3645 | -0.8217 | 0.1499 | -1.1369 | -0.5263 |
| SR | -1.0853 | -0.7961 | 0.0127 | 0.5329 | 0.7427 | 0.6591 | -1.0559 | -1.1925 | -1.0203 | -0.4271 | -1.0169 | -0.5382 | 0.1716 | -0.7099 | 0.8285 | 0.3737 |
| TO_Long | 0.8979 | 0.9010 | 0.3866 | 0.5558 | 0.4251 | 0.3715 | 0.8850 | 0.7155 | 0.5887 | 0.4307 | 0.3277 | 0.1955 | 0.9679 | 0.7265 | 0.1952 | 0.0683 |
| TO_Short | 0.9003 | 0.9030 | 0.5718 | 0.6373 | 0.5272 | 0.4686 | 0.9105 | 0.7561 | 0.6369 | 0.4858 | 0.2498 | 0.4367 | 0.9597 | 0.6390 | 0.2649 | 0.2659 |
avg_annual_excess_return_eq(%)_with_mkt=3.82% turnover3M 1 2 3 mom12x3 1 -2.23 -3.48 -10.41 2 4.45 2.21 -5.51 3 8.90 7.08 -1.30 avg_anual_excess_return_cap(%)_with_mkt=3.44% turnover3M 1 2 3 mom12x3 1 -3.61 -5.93 -13.23 2 4.97 0.59 -8.93 3 3.48 3.61 -3.97 avg_number_of_stocks turnover3M 1 2 3 mom12x3 1 118.65 105.60 95.44 2 113.63 106.21 99.19 3 87.41 107.21 124.69
avg_annual_excess_return_eq(%)_with_mkt=3.82% turnover3M 1 2 3 4 5 mom12x3 1 -4.96 -4.31 -5.19 -7.83 -17.02 2 1.73 0.93 1.05 -2.19 -8.25 3 6.20 1.24 -0.19 -1.01 -8.84 4 5.19 6.55 1.74 0.45 -5.37 5 12.28 12.73 10.25 5.86 -4.11 avg_anual_excess_return_cap(%)_with_mkt=3.44% turnover3M 1 2 3 4 5 mom12x3 1 -5.92 -6.53 -7.75 -9.68 -18.879999 2 0.15 -0.88 -0.01 -4.13 -12.730000 3 7.06 -3.29 -2.99 -5.42 -11.960000 4 2.87 4.09 -2.26 -3.29 -9.000000 5 5.37 11.20 5.55 1.66 -8.760000 avg_number_of_stocks turnover3M 1 2 3 4 5 mom12x3 1 41.01 40.63 38.82 36.54 34.99 2 47.77 39.93 37.61 34.96 31.10 3 42.30 38.57 38.32 36.70 35.56 4 36.08 38.06 38.40 39.59 39.24 5 24.84 34.17 38.30 43.58 50.97
avg_annual_excess_return_eq(%)_with_mkt=3.82% turnover3M_GN 1 2 3 mom12x3_GN 1 -2.02 -1.16 -9.40 2 4.90 2.44 -6.22 3 8.97 5.49 -1.52 avg_anual_excess_return_cap(%)_with_mkt=3.44% turnover3M_GN 1 2 3 mom12x3_GN 1 -3.02 -3.05 -12.47 2 4.10 2.33 -10.12 3 5.22 1.86 -3.82 avg_number_of_stocks turnover3M_GN 1 2 3 mom12x3_GN 1 113.11 102.60 95.60 2 109.47 108.87 92.28 3 88.73 99.15 123.02
avg_annual_excess_return_eq(%)_with_mkt=3.82% turnover3M 1 2 3 4 5 mom12x3 1 -4.96 -4.31 -5.19 -7.83 -17.02 2 1.73 0.93 1.05 -2.19 -8.25 3 6.20 1.24 -0.19 -1.01 -8.84 4 5.19 6.55 1.74 0.45 -5.37 5 12.28 12.73 10.25 5.86 -4.11 avg_anual_excess_return_cap(%)_with_mkt=3.44% turnover3M 1 2 3 4 5 mom12x3 1 -5.92 -6.53 -7.75 -9.68 -18.879999 2 0.15 -0.88 -0.01 -4.13 -12.730000 3 7.06 -3.29 -2.99 -5.42 -11.960000 4 2.87 4.09 -2.26 -3.29 -9.000000 5 5.37 11.20 5.55 1.66 -8.760000 avg_number_of_stocks turnover3M 1 2 3 4 5 mom12x3 1 41.01 40.63 38.82 36.54 34.99 2 47.77 39.93 37.61 34.96 31.10 3 42.30 38.57 38.32 36.70 35.56 4 36.08 38.06 38.40 39.59 39.24 5 24.84 34.17 38.30 43.58 50.97
收益曲线和表格指标，均是针对超额收益，benchmark用的是equal weighted
note: mom12x3在流动性差的股票体现反转特性，在流动性高的股票呈现趋势特性